A refinement to the Sharpe ratio and information ratio

Craig Israelsen ()
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Craig Israelsen: 2055, JFSB, Brigham Young University

Journal of Asset Management, 2005, vol. 5, issue 6, No 6, 423-427

Abstract: Abstract By modifying the denominator, both the Sharpe ratio and information ratio provide correct rankings during periods of negative excess returns.

Keywords: Sharpe ratio; information ratio; negative excess returns; tracking error (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1057/palgrave.jam.2240158

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